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JOURNALS
// Teoriya Veroyatnostei i ee Primeneniya
// Archive
Teor. Veroyatnost. i Primenen.,
2001
Volume 46,
Issue 1,
Pages
74–93
(Mi tvp3952)
This article is cited in
70
papers
Sharp Large Deviations for the Ornstein–Uhlenbeck Process
B. Bercu
,
A. Rouault
Paris-Sud University 11
Abstract:
We establish sharp large deviation principles for well-known random variables associated with the Ornstein–Uhlenbeck process, such as the energy, the maximum likelihood estimator of the drift parameter, and the log-likelihood ratio.
Keywords:
large deviations, Ornstein–Uhlenbeck process, likelihood estimation.
Received:
27.10.1998
Revised:
05.06.2000
Language:
English
DOI:
10.4213/tvp3952
Fulltext:
PDF file (1877 kB)
Cited by
English version:
Theory of Probability and its Applications, 2002,
46
:1,
1–19
Bibliographic databases:
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Steklov Math. Inst. of RAS
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